Trading in expiring futures terminates at 4:00 p.m. London time on Last Day of Trading.

Position Limits

Spot Position Limits are set at 1,000 contracts. A position accountability level of 5,000 contracts will be applied to positions in single months outside the spot month and in all months combined. The reportable level will be 25 contracts.

Block Minimum

5 contracts

Price Limits

Price limits for a given Business Day are made by reference to the most recent Bitcoin Futures settlement price, settled at 4:00 p.m. London time each Business Day.

Special price fluctuation limits equal to 7% above and below prior settlement price and 13% above and below prior settlement price and a price limit of 20% above or below the previous settlement price. Trading will not be permitted outside the 20% above and below prior settlement price.

Settlement

Cash settled by reference to Final Settlement Price, equal to the CME CF Bitcoin Reference Rate (BRR) on Last Day of Trading.

A solar eclipse occurs when the moon passes between the earth and the sun. A total eclipse occurs when the moon fully blocks the sun; these are quite rare as they only exist along a narrow path on the surface of the Earth. Other types of eclipses are annular and partial when only part of the sun is obscured.

On 21 August 2017 the US will experience a total eclipse. This is a big event as the last total eclipse observable in the continental US was in 1979 (when, in fact, the weather was not the best). And the last solar eclipse whose path of totality moved from coast to coast (as it will in 2017) was back in 1918. Of course, this being the United States, the Americans will no doubt play the whole thing down and it may pass many by without being noticed at all.

It can be a scary thing when the sun suddenly disappears in the middle of the day and in olden times people would become fearful at the time of eclipses. Various stories were told to explain the terrible event. Many of these myths involved the sun being eaten by a large animal, for example in Vietnam people believed that a giant frog was devouring the sun (has this actually ever been truly disproved?) Customs developed to chase away whatever was eating the sun by banging pots and pans ­ so far this has proved a remarkably successful strategy and has worked every time.

Scientists (slayers of myths, and general killjoys) claim that there is no evidence that solar eclipses affect human behaviour, health or the environment.

But is this true?

The above table lists all the total solar eclipses seen in the US since 1900, with in each case a sparkline showing the Dow Jones Industrial Average for the four days around the eclipse (the eclipse is on the 3rd day).

And the following two charts plot the returns of the Dow Jones Industrial Average on the days around the 15 total solar eclipses that have been visible from the United States since 1900. S(-1) is the day before the eclipse, S(0) the day of the eclipse, and S(+1) the day after. The following chart plots the average return for the three days…

…and the chart below plots the proportion of days that had positive returns.

It can be observed in both the sparklines and the bar charts that on the day before the eclipse, and on the day itself, the market tends to be weak (investors fearful of the big frog). But on the day after the eclipse the market bounces back ­ the frog has gone and the sun is back.

The following chart plots the number of times the FTSE All-Share Index has had positive returns in the 7 days around UK parliamentary elections since 1970.

For example, in the 12 elections there have been since 1970 the Index has risen 7 times on the third day, E(-3), before election day E(0).

The following chart is similar to the above but plots the average day returns for the Index on each of the 7 days around elections.

For example, in the 12 elections since 1970 the Index has had an average return of 0.1% on the day before, E(-1), the election.

Interestingly, the market has tended to see positive returns in the days immediately around elections, with the strongest day being election day itself with an average return of 0.6% (perhaps a .relief rally marking the end of the tedious election campaigns?)

The day following elections has a negative average return of 0.04% (as investors realise the ramifications of the election result?)

The following chart plots the average performance of the S&P 500 Index for each animal year since 1950. For example, Ox years started in 1961, 1973, 1985, 1997, 2009; and the average performance of the market in those (Chinese) years was +14.0%.

NB. The Chinese calendar is based on the lunar year cycle and so performance has been calculated for each lunar year – not the corresponding calendar year.

The Chinese New Year starting this Saturday will be the Year of the Rooster!

This is not necessarily good news for investors. Since 1950 rooster years have had the worst average returns of the S&P 500 Index of any of the Chinese zodiac animals. Over the last 50 or so years the average lunar year return for rooster years has been -4.1%.

The year just ending was the year of the monkey. On average monkey years have seen an S&P 500 return of 9.8%. In the monkey year just passed the actual S&P 500 return was 22.5%.

The table below shows the monthly frequency of company flotations (IPOs) and listing on the London Stock Exchange. The dark bars show the month frequency for all flotations of companies currently listed on the LSE, and the lighter bars are limited to just the 162 companies floated from the beginning of 2010 to 2015.

As can be seen, the most popular month for flotations has been January, 14% of all flotation took place in this month. The second most popular month has been July (11%). By contrast the least popular month is August, followed by February and September.

This profile has changed somewhat in recent years. Since 2010, the two busiest months for flotations have been June and July (13%), followed by March. And, oddly, January is now the least popular month for flotations (3%).

Flotation performance

The following chart plots the performance of an equally-weighted portfolio comprising the 162 companies that floated 2014-2015. For reference, the FTSE 100 Index is also shown.

It is not a pretty sight. Since the start of 2014, the FTE 100 Index has fallen 8%, but the Flotation Portfolio has declined 31% in value.

A couple of years ago the great investment writer, Jason Zweig, wrote an article listing his best books for investors. Zweig recommended 15 books (which can be seen in the original article). The 15 books are listed in the following table (ordered by the year of first publication).

Author

Title

Year

Bertrand Russell

Sceptical Essays or The Scientific Outlook

1928

Fred Schwed

Where Are the Customers’ Yachts?

1940

Benjamin Graham

The Intelligent Investor

1949

Darrell Huff

How to Lie with Statistics

1954

Adam Smith

The Money Game

1968

Burton G. Malkiel

A Random Walk Down Wall Street

1973

Charles P. Kindleberger

Manias, Panics, and Crashes

1978

Roger Lowenstein

Buffett: The Making of an American Capitalist

1995

Richard Feynman

Surely You’re Joking, Mr. Feynman!

1997

Peter L. Bernstein

Against the Gods: The Remarkable Story of Risk

1998

John C. Bogle

Common Sense on Mutual Funds

1999

Gary Belsky and Thomas Gilovich

Why Smart People Make Big Money Mistakes and How to Correct Them

1999

E. Dimson, P. Marsh, M. Staunton

Triumph of the Optimists

2002

Alice Schroeder

The Snowball: Warren Buffett and the Business of Life

2009

Daniel Kahneman

Thinking, Fast and Slow

2013

One might quibble over the inclusion of one or two books here (that is the joy, and purpose, of lists), and it is important to remember that this is a list for investors (a list for traders would inevitably look rather different), but overall most would probably agree that this is a fine list.

It is interesting to see the distribution of publication dates of the recommended books. Only three were first published in this century. And, of those, the most recently published book is not focused on investing, while the one before that is about a chap who started investing in the 1940s.

The median year for the 15 books is 1995, but the mean year of publication (OK, a rather silly calculation in this context but why not?) is 1980.

The following chart shows the year of first publication of the 15 books mapped onto the Dow Jones Industrial Average (log scale).

On this chart it can be seen that the publication dates of six of the books are clustered around the end of the twenty-year bull market that started in 1980. Perhaps bull markets give authors the confidence to write books, or investors the appetite to read them. Certainly few classic books would appear to have been written in recent years.

But also, as it is often said, the essential lessons of investing change little over time.

In the early 1980s the Office of Fair Trading brought a case against the London Stock Exchange, citing a range of restrictive practices which included:

fixed minimum commissions for stock trades

separation of brokers (who acted as agents for customers) and jobbers (market makers)

foreign membership of the stock exchange was not allowed

As a result the Exchange changed its rules which came into effect on 27 October 1986 (30 years ago today).

The effect on the financial industry in the UK – especially the City in London - was dramatic, such that this process of de-regulation is also referred to as Big Bang.

One of the greatest changes was the acquisition of many established City firms by foreign (mainly American) banks. This led to great debate of something called the Wimbledon Effect – i.e. whether an economy needs strong domestic competitors or if it can thrive by merely providing the forum for foreign-owned institutions.

Overall, London has thrived as a financial center since Big Bang and the deregulation has been seen as beneficial for financial markets. Although in 2010 Nigel Lawson, the Chancellor in 1986, admitted that the global financial crisis starting in 2007 was an unintended consequence of Big Bang. The problem being that previously investment banks had been careful with their own money, but merger with high street banks gave them access to depositors’ funds. and incorporation as limited liability companies removed the personal risk for managers (the principal–agent problem).

Markets opened the New Year with a broad advance, but after hesitating on the political upset created by the Westland affair, which led to the resignation of two Cabinet ministers, Michael Heseltine and Leon Brittan, and a 1% increase in base rates to steady the pound after a sharp drop in the oil price, they recovered to close the month at record levels. There was no doubt that sentiment was aided by the sight of predators being willing to compete with each other and pay ever higher prices for what had once been thought of as rather dull companies. Thus Imperial Group and Distillers went for £2.5 billion each, some 25% above the opening bids, in hard-fought and no holds barred contests between determined bidders.

…

Markets were under something of a cloud in November and December as one scandal after another came to light. First of all Geoffrey Collier, a senior executive at Morgan Grenfell, resigned after insider dealing allegations. Then US arbitrageur, Ivan Boesky, who had been an active participant in many of the year’s big bids in the UK, was fined $100 million by the SEC. After weeks of rumours, December saw a DTI investigation ordered into the Guinness takeover of Distillers, closely followed by the revelation that Guinness had “invested” $100 million in Boesky’s arbitrage pool of funds. On the last day of the year, Roger Seelig, the Morgan Grenfell executive who had looked after the Guinness bid, resigned from his post at the bank.

Although these events were truly exceptional in the light of the high standing of the persons and the companies involved, they did not prevent a good Christmas rally developing in a market which also had to absorb the £5.6 billion offering from British Gas. The advent of dual capacity and automated quotations with Big Bang in October seemed to have no particular influence on the course of markets at the time. The FT 30 closed the year at 1313.9, well below its peak, but still a gain of 15.5%, while the broader- based All Share and FTSE were up 20% and 23.5% at 835 and 1679 respectively. Government Securities were up a modest 1.25% at 83.62. The Dow recorded a gain of 22.5% closing at 1896.

A fun Quartz article found that a portfolio comprised of U.S. companies whose names were all upper case (e.g. NVIDIA) had out-performed the S&P 500 Index in 2016. The article’s explanation: confident companies have confident names!

How would such a portfolio fare in the UK?

The following table lists the 14 FTSE 100 companies with (almost) all upper case names. Included in the table are the returns from the beginning of 2015.

Company

TIDM

Rtn (from 2015)

BP

BP.

39.9

CRH

CRH

36.8

RSA

RSA

31.2

RELX

REL

21.9

DCC

DCC

18.5

HSBC

HSBA

16.8

FTSE 100

UKX

12.4

WPP

WPP

9.0

BAE Systems

BA.

8.2

SSE

SSE

3.3

GKN

GKN

1.8

TUI AG

TUI

-15.0

BT

BT.A

-17.8

ITV

ITV

-38.4

And the following chart plots the performance of an equally-weighted portfolio of the 14 upper case companies benchmarked against the FTSE 100 Index.

The following chart plots the FTSE 100 Index for the period 1 January 2016 to 11 July 2016. It also plots the Index priced in US dollars (i.e. it shows the returns a US dollar investor would see over this period).

Today, the FTSE 100 Index closed at 6682, an increase of +9.7% from 1 January 2016.

Adjusted for the GBPUSD rate, the FTSE 100 closed today at 5886 (in dollar terms), a decrease of -5.7% on the start of the year.